What you are looking at is 3 accutic alerts from earlier today. These alerts highlight the aggressive selling in treasury options resulting in a sharp decline in the volatility. All 3 of the alerts are showing selling of the July10yr. 113.5 puts "covered" against the Sep. 10yr. futures at a price of 11604 which was up 5 tics from yesterdays settlement, (the dial on the left. As you can see at approx. 8:23 this morning the July 113.5 puts traded at a price of 43, down 2 tics on the day delta hedged as noted resulting in a volatility reading of 12.92% up 31 basis points if you will from 12.61% based on previous days settlement level. About 3 minutes later the same player sold more of the 113.5 puts vs. the same futures level, however the market makers were only willing to buy option at a price of .39 down 6 tics from settlement. The volatility associated with this trade moved the dial sharply over 180 degrees counter clockwise to a reading of 12.33% down 29 basis points on the day and 60 basis points from where it was on the first trade.The last alert on the bottom was from round 9:03 and you can see the further deterioration. This was not the only trade going on, there was also aggressive selling in other 10yr. options delta'd and outright as well as in 5yr. notes. To keep abreast of these and other dynamic flows, go to www.accutic.net and upload the alerts.
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